簡潔な動的傾向戦略
作者: リン・ハーンチャオチャン開催日:2023年12月12日 (火) 18:03:39タグ:
概要
この戦略は,トレッダー・ダイナミック・インデックス (TDI) とプライス・アクション・チャネル (PAC) 指標,ボリンジャー・バンド,相対強度指数 (RSI) とMACDをベースに,トレンドフォローシステムを実装しています.
この戦略は主にトレンドを検出し,有意なトレンド逆転が発生した場合の取引信号を生成するために使用されます.信号再現率と品質を改善するために複数の指標を統合します.
戦略の論理
戦略の核心はTDI指標で,TDIは以下のようないくつかのサブ指標から構成されています.
- 相対強度指数 (RSI):価格動向を測定する
- ボリンジャー・バンド: 価格変動を反映する
- RSI価格線: RSI価格動向を表すRSIの単純な移動平均線
- RSI トレーディング・シグナルライン: RSI の他の単純な移動平均線で,取引信号を生成するために使用される.
RSI価格ラインとトレードシグナルラインが"黄金十字"を形成すると,購入信号が発信される.両ライン間の"死十字"は販売信号を誘発する.トレードシグナルラインと中間帯のクロスオーバーも弱い信号を生成する.
この戦略には,特定の期間の最高価格と最低価格に基づいて価格チャネルを計算するPrice Action Channel指標も含まれています.価格がチャネル境界に近づくと,潜在的な逆転の機会を示します.
誤った信号をフィルタリングするために,MACDインジケーターも適用されます.MACDヒストグラムの色と信号の方向が一致した場合にのみエントリー信号が起動します.
利点
単一指標システムと比較して,この多指標戦略には以下の利点があります.
- TDIは傾向の変化に敏感です
- 価格アクションチャネルはサポートとレジスタンスを明確に反映しています
- MACD は 偽信号 を フィルタリング する
また,TDIは移動平均値のような傾向をたどる指標よりも早くトレンド逆転を検出し,不必要な損失を減らす.
この戦略は,パラメータ調整によって様々な市場環境に適応できます.
リスク
- 複数の重複指標による複雑性
- 取引頻度が高くなり,コストが増加し,リスクが上昇する
- 誤った逆転検出によるトレンド継続リスク
- ライブ取引における実際の価格変動は,バックテストよりもはるかに複雑です
ストップ・ロスの範囲を拡大して損失を制限し,よりよい信号のためのパラメータを最適化し,取引頻度を下げるためのエントリー基準を緩和することでリスクは軽減できます.
増進 の 機会
- 最適な設定を見つけるために TDI パラメータを調整する
- 最適なサポート/レジスタンス検出のために価格アクションチャネルの長さを調整する
- フィルター効果を最大化するために MACD パラメータを精査する
- ポジションのサイズ化と遅延ストップのメソッドを組み込む
結論
この戦略は,トレンドと逆転を評価するための様々な指標を合成し,適切に調整された場合,製品間で適応可能である. ライブ取引にはメリットがあるが,実際の市場の複雑さを考慮して,信号パフォーマンスを信頼的に複製することは困難である. ライブ展開する際に注意することが推奨される.
/*backtest
start: 2023-11-11 00:00:00
end: 2023-12-05 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//
strategy("[BACKTEST]Traders Dynamic Index Indicator Alert by JustUncleL", shorttitle="[BACKTEST]TDIALT")
//
// author: JustUncleL
// date: 10-Oct-2019
//
// Description:
// This script is a "strategy" version of the "Traders Dynamic Index Indicator Alert v0.1 by JustUncleL"
// made available for backtesting to help optimize settings.
//
// This is a Trend following system utilising the Traders Dynamic Index (TDI),
// Price Action Channel (PAC) and Heikin Ashi candles.
// About while ago I came across the use of TDI in "E.A.S.Y. Method" that I found in
// forexfactory forums: http://www.forexfactory.com/attachment.php?attachmentid=686629&d=1303831008
// and I was able to set up a chart based on the specifications by using Kurbelklaus scripts.
// However, I found that the alerts were being generated one or two bars too late,
// so I was not successful using it with Binary Options. Later I found a variation of the
// method in the forums which generates alerts a bit earlier, so this indicator is a
// variation of that early detection version.
// The indicator can optionally use Heikin Ashi candles only for all it's calculations,
// I would recommend viewing the chart with normal Heikin Ashi candles, these
// smooth out the trends and makes them more visible.
//
// I found that this metod it works OK with currency pairs or commodities.
// It also seems to work well with 5min+ timeframe charts,
// and for Binary Options I would suggest expiry of 2 to 6 candles.
//
// ALERT GENERATION:
// =================
//
// The TDI (Traders Dynamic Index)
// -------------------------------
// Volatility Band VB(34), color: Blue, buffer: UpZone, DnZone
// Relative Strength Index RSI(13)
// RSI PRICE LINE (2), color: Green, buffer: mab
// RSI TRADE SIGNAL LINE (7), color: Red, buffer: mbb
// MARKET BASE LINE MID VB(34), color: Orange, buffer: mid
//
// Indicator SignalLevels:
// -----------------------
// RSI_OversoldLevel : 22 (normally: 32)
// RSI_OverboughtLevel : 78 (normally: 68)
//
// Alert Conditions:
// -----------------
// Strong Buy (yellow): HIGH>PAC upper && BULL Candle && Candle High>PAC High && RSI>TRADE SIGNAL LINE && RSI>RSI_OversoldLevel &&
// && RSI<RSI_OverboughtLevel && TRADE SIGNAL LINE> MARKET BASE LINE
// Medium Buy (aqua): HIGH>PAC upper && BULL Candle && Candle High>PAC High && RSI>TRADE SIGNAL LINE && RSI>RSI_OversoldLevel
// && RSI<RSI_OverboughtLevel && RSI> MARKET BASE LINE && TRADE SIGNAL LINE< MARKET BASE LINE
// Weak Buy (blue): HIGH>PAC upper && BULL Candle && Candle High>PAC High && RSI>TRADE SIGNAL LINE && RSI>RSI_OversoldLevel
// && RSI<RSI_OverboughtLevel && TRADE SIGNAL LINE<MARKET BASE LINE && RSI< MARKET BASE LINE
//
// Strong Sell (fuchsia): LOW<PAC lower && BEAR Candle && Candle Low>PAC Low && RSI<TRADE SIGNAL LINE && RSI>RSI_OversoldLevel
// && RSI<RSI_OverboughtLevel && TRADE SIGNAL LINE< MARKET BASE LINE
// Medium Sell (purple): LOW<PAC lower && BEAR Candle && Candle Low>PAC Low && RSI<TRADE SIGNAL LINE && RSI>RSI_OversoldLevel
// && RSI<RSI_OverboughtLevel && RSI< MARKET BASE LINE && TRADE SIGNAL LINE> MARKET BASE LINE
// Weak Sell (black): LOW<PAC lower && BEAR Candle && Candle Low>PAC Low && RSI<TRADE SIGNAL LINE && RSI>RSI_OversoldLevel
// && RSI<RSI_OverboughtLevel && TRADE SIGNAL LINE> MARKET BASE LINE && RSI> MARKET BASE LINE
//
// HIGH LEVEL FILTER (Overbought): RSI>=RSI_OverboughtLevel or MACD Histogram not green
// LOW LEVEL FILTER (Oversold): RSI<=RSI_OversoldLevel or MACD Histogram not red
//
// Hints on How to use:
// --------------------
// - When a Medium or Strong alert is generated and MACD histogram colour matches the direction
// of the alert, then place trade in direction of alert candle and MACD.
// - Use the multi-Hull MA's for trend direction confirmation.
// - Best positions occur near the MACD(8,16,1) Histogram crossing the zero line.
// - The optional coloured Dots along the bottom of the indicator represent the first alert
// of this type that was generated in this sequence.
// - It is advisable to trade in the direction of the main trend as indicated the HULL MA red cloud:
// if red cloud underneath PAC then BULLISH trend, if red cloud above PAC then BEARISH trend.
// - Selecting the HeiKin Ashi candles does affect the MACD and MA caculations, so if you select
// normal candles the result chart will change. Although the TDI calculations and alerts will stay the
// same.
// - When using the Heikin Ashi candles, a good buy entry is indicated by long top wick and no bottom wick
// for bull (green) candles and good sell entry is indicated by long bottom wick and no top wick for
// bear (red) candles.
// - When the MACD histogram is flat and close to zero line,
// this indicates a ranging market, do NOT trade when this occurs.
// - When the PAC channel on the main chart is spread apart widely, this is an indication
// of extreme volitity and choppy chart, do NOT try to trade during these periods.
// A choppy chart is also indicated by Heikin Ashi candles with long wicks on both sides
// of the candles.
// - You can specify what strength level Alerts are generated (default 2):
// Level (1) means only generate Strong Alerts only.
// Level (2) means generate Strong and Medium Alerts.
// Level (3) means generate Strong, Medium and Weak Alerts.
//
// Modifications:
// --------------
// 11-Oct-2019
// - Strategy Version for backtesting created.
// - Converted to Pinescript V4
//
// 1.3 7-Aug-2017
// - Modified Alertcondition code so that it only signals on the last completed alerted
// candle. This should prevent some false alerts and multiple alerts being generated.
// When setting alarms I suggest using Frequency "Once per bar (on condition)" to get
// the earliest signal possible.
// - Added optional alert long/short spikes that only occur on the first Long or Short// Original code @author LazyBear for basic TDI indicator.
// signals.
// 1.2 5-Aug-2017:
// - Added new alerts for Buy and Sell (Long and Short) signals seperately.
// - Upgraded to version 3 Pinescript.
// - Added work around patch for opaque bar colouring issue.
//
// 1.1 - Modified code so when viewing Top chart with Heikin Ashi candles, calculations
// are still based on standard candles, unless Heikin Ashi calculation option selected.
//
// 0.2 - Simplified MACD direction calculation to use just rising/falling.
// 0.1 - Oroginal Version
// References:
// -----------
// Traders Dynamic Index [LazyBear]
// KK_Traders Dynamic Index_Bar Highlighting by Kurbelklaus
// KK_Price Action Channel (TDI BH) by Kurbelklaus
// http://www.forexfactory.com/attachment.php?attachmentid=686629&d=1303831008
// http://www.forexstrategiesresources.com/trading-system-metatrader-4-iv/504-traders-dynamic-index-how-to-use/
// http://www.forexfactory.com/showthread.php?t=460148
// http://www.forexstrategiesresources.com/scalping-forex-strategies-ii/205-scalping-with-tdi-real-macd-stochrainbow/
//
// -----------------------------------------------------------------------------
// Copyright 2016, 2017, 2019 JustUncleL
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 3 of the License, or
// any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU General Public License for more details.
//
// The GNU General Public License can be found here
// <http://www.gnu.org/licenses/>.
//
// -----------------------------------------------------------------------------
//
//
lengthrsi = input(13)
lengthband = input(34)
lengthrsipl = input(2)
lengthtradesl = input(7)
lenH = input(5, minval=1, title="Price Action Channel Length")
lenL = lenH
rsiOSL = input(22, minval=0, maxval=49, title="RSI Oversold Level")
rsiOBL = input(78, minval=51, maxval=100, title="RSI Overbought Level")
strength = input(2, minval=1, maxval=3, step=1, title="Strength Level: (1)Strong (2)Medium (3)All")
sgb = input(false, title="Check Box To Turn Bars Gray")
sbr = input(true, title="Highlight TDI Alert Bars")
sal = input(true, title="Show Alert Condition Status")
uha = input(false, title="Use Heikin Ashi Candles for Calculations")
//
// Constants colours that include fully non-transparent option.
blue100 = #0000FFFF
aqua100 = #00FFFFFF
fuchsia100 = #FF00FFFF
purple100 = #800080FF
gray100 = #808080FF
gold100 = #FFD700FF
white100 = #FFFFFFFF
black100 = #000000FF
gold = #FFD700
// Use only Heikinashi Candles for all calculations or use Standard Candles for calculations.
security_1 = security(heikinashi(syminfo.tickerid), timeframe.period, close)
security_2 = security(syminfo.ticker, timeframe.period, close)
srcClose = uha ? security_1 : security_2
security_3 = security(heikinashi(syminfo.tickerid), timeframe.period, open)
security_4 = security(syminfo.ticker, timeframe.period, open)
srcOpen = uha ? security_3 : security_4
security_5 = security(heikinashi(syminfo.tickerid), timeframe.period, high)
security_6 = security(syminfo.ticker, timeframe.period, high)
srcHigh = uha ? security_5 : security_6
security_7 = security(heikinashi(syminfo.tickerid), timeframe.period, low)
security_8 = security(syminfo.ticker, timeframe.period, low)
srcLow = uha ? security_7 : security_8
//
r = rsi(srcClose, lengthrsi)
ma = sma(r, lengthband)
offs = 1.6185 * stdev(r, lengthband)
upZone = ma + offs
dnZone = ma - offs
mid = (upZone + dnZone) / 2
mab = sma(r, lengthrsipl)
mbb = sma(r, lengthtradesl)
//
hline(rsiOSL, color=color.red, linewidth=1)
hline(50, color=color.black, linewidth=1)
hline(rsiOBL, color=color.lime, linewidth=1)
// Plot the TDI
upl = plot(upZone, color=color.blue, title="VB Channel High", linewidth=2)
dnl = plot(dnZone, color=color.blue, title="VB Channel Low", linewidth=2)
midl = plot(mid, color=color.orange, linewidth=2, title="MBL")
mabl = plot(mab, color=color.green, linewidth=2, title="RSI PL")
mbbl = plot(mbb, color=color.red, linewidth=2, title="TSL Signal")
//
//create RSI TSL cloud to indicate trend direction.
fill(mabl, mbbl, color=mab > mbb ? color.green : color.red, transp=90)
// Calculate Price Action Channel (PAC)
smmaH = 0.0
smmaL = 0.0
sma_1 = sma(srcHigh, lenH)
smmaH := na(smmaH[1]) ? sma_1 : (smmaH[1] * (lenH - 1) + srcHigh) / lenH
sma_2 = sma(srcLow, lenL)
smmaL := na(smmaL[1]) ? sma_2 : (smmaL[1] * (lenL - 1) + srcLow) / lenL
//
umacd = input(false, title="Use MACD Filtering")
fastMA = input(title="MACD Fast MA Length", type=input.integer, defval=8, minval=2)
slowMA = input(title="MACD Slow MA Length", type=input.integer, defval=16, minval=7)
signal = input(title="MACD Signal Length", type=input.integer, defval=1, minval=1)
//
//
[currMacd, _, _] = macd(srcClose[0], fastMA, slowMA, signal)
rising_1 = rising(currMacd, 2)
falling_1 = falling(currMacd, 2)
macdH = currMacd > 0 ? rising_1 ? color.green : color.red :
falling_1 ? color.red : color.green
//
// Bar - Highlighting based on indication strength
long = (not umacd or macdH == color.green) and mab > mbb and mab < rsiOBL and
mab > rsiOSL and srcHigh > smmaH and srcClose > srcOpen ?
mbb > mid ? 1 : mab > mid and mbb < mid ? 2 : mab < mid and mbb < mid ? 3 : 0 : 0
short = (not umacd or macdH == color.red) and mab < mbb and mab < rsiOBL and
mab > rsiOSL and srcLow < smmaL and srcClose < srcOpen ?
mbb < mid ? 1 : mab < mid and mbb > mid ? 2 : mab > mid and mbb > mid ? 3 : 0 : 0
//
// Find the right Bar colour if enabled.
bcolor = not sbr ? na : long == 1 ? gold100 :
long == 2 and strength > 1 ? aqua100 : long == 3 and strength > 2 ? blue100 :
short == 1 ? fuchsia100 : short == 2 and strength > 1 ? purple100 :
short == 3 and strength > 2 ? black100 : sgb ? gray100 : na
//
barcolor(color=bcolor, title="Bars Colours")
//
//
// === ALERT conditions
//
// create alerts only once per sequence type.
//
longCond = long > 0 and long != long[1] and long <= strength
shortCond = short > 0 and short != short[1] and short <= strength
// show dot only when alert condition is met and bar closed.
plotshape(sal and (longCond[1] or shortCond[1]), title="Alert Indicator", location=location.bottom,
color=long[1] == 1 ? gold : long[1] == 2 ? color.aqua : long[1] == 3 ? color.blue : short[1] == 1 ? color.fuchsia : short[1] == 2 ? color.purple : short[1] == 3 ? color.black : na,
transp=0, style=shape.circle, offset=-1)
//
// === /ALERT conditions.
// === STRATEGY ===
tradeType = input("BOTH", title="What trades should be taken : ", options=["LONG", "SHORT", "BOTH", "NONE"])
// stop loss
slPoints = input(defval=0, title="Initial Stop Loss Points (zero to disable)", minval=0)
tpPoints = input(defval=0, title="Initial Target Profit Points (zero for disable)", minval=0)
//>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>//
testStartYear = input(2018, "Backtest Start Year", minval=1980)
testStartMonth = input(1, "Backtest Start Month", minval=1, maxval=12)
testStartDay = input(1, "Backtest Start Day", minval=1, maxval=31)
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)
testStopYear = input(9999, "Backtest Stop Year", minval=1980)
testStopMonth = input(12, "Backtest Stop Month", minval=1, maxval=12)
testStopDay = input(31, "Backtest Stop Day", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
//<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<//
//
//set up exit parameters
TP = tpPoints > 0 ? tpPoints : na
SL = slPoints > 0 ? slPoints : na
// Make sure we are within the bar range, Set up entries and exit conditions
if testPeriod() and tradeType != "NONE"
strategy.entry("long", strategy.long, when=longCond == true and tradeType != "SHORT")
strategy.entry("short", strategy.short, when=shortCond == true and tradeType != "LONG")
strategy.close("long", when=shortCond == true and tradeType == "LONG")
strategy.close("short", when=longCond == true and tradeType == "SHORT")
strategy.exit("XL", from_entry="long", profit=TP, loss=SL)
strategy.exit("XS", from_entry="short", profit=TP, loss=SL)
// === /STRATEGY ===
//EOF
もっと
- 多期移動平均戦略
- 2つの移動平均線を捕捉する戦略
- 長期・短期移動平均クロスオーバー取引戦略
- 移動平均のクロスオーバーと逆転指標の組み合わせ戦略
- ラファエル・ジオニ 戦略をフォローするモメンタム・トレンド
- リバーサルの指標戦略
- サニー・スーパートレンド戦略
- 波動性突破戦略
- イチモク5分スケール戦略
- モメント・バランス・チャネル・トレンド・トラッキング・戦略
- ダウ理論に基づくRSI/MFIモメント指標戦略
- % バンド移動平均戦略
- シェフ・トレンド・サイクルの二重移動平均のクロスオーバー戦略
- 移動平均チャネルブレイク戦略
- イチモク 資金管理による取引戦略
- 持続的なストップ損失取引戦略
- 勢いを逆転させる戦略
- ボリンジャー・バンド 素晴らしいオシレーター ブレイクトレード戦略
- EMAのクロスオーバー取引戦略
- 戦略をフォローするディバージェンツマトリックス傾向